Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0263
Annualized Std Dev 0.2924
Annualized Sharpe (Rf=0%) -0.0899

Row

Daily Return Statistics

Close
Observations 4252.0000
NAs 1.0000
Minimum -0.2009
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0059
Maximum 0.3964
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0184
Skewness 1.8508
Kurtosis 89.5339

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0158
Loss Deviation 0.0168
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.7487
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0430
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-04-12 2009-03-09 NA -0.7487 3511 481 NA
2005-10-05 2005-12-29 2006-09-01 -0.1877 230 60 170
2004-06-01 2004-07-27 2004-12-14 -0.1504 137 39 98
2006-12-27 2007-01-18 2007-04-04 -0.1331 67 14 53
2005-03-08 2005-05-13 2005-06-17 -0.0778 72 48 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA 0 -1.2 1.2 0.3 2 0.7 0 0 -0.9 2
2005 0.7 0.2 0 0.7 0.4 0.8 -0.1 2.3 0.7 -0.6 0.1 1 6.4
2006 0.9 -0.2 1.2 -0.1 0.7 0.7 -0.4 1 0.9 0.1 -1 -0.6 3.1
2007 0.9 -1.6 0.1 0.5 0.5 1.5 -0.1 1 1 -0.5 1.7 1.9 7.1
2008 -0.6 -1.4 1.9 1 -0.1 -0.1 -1 1.3 4.3 2.7 -6.8 6.1 7
2009 -2 -4 0.2 2.1 -0.5 1.8 0.2 -2.2 -0.3 -5.9 2 0.4 -8.3
2010 1.6 1.7 2.5 -0.7 -2 0.2 -0.1 1.4 0.7 0.2 0.7 0 6.3
2011 1.2 -1.1 0.4 0.7 -0.4 0.5 1.1 0 -1.7 -0.7 0 -0.1 -0.2
2012 1.5 1.8 0.1 0.9 -0.7 1.4 0.5 -0.5 0.3 -0.3 0.4 1.3 6.8
2013 0.1 0.3 -0.8 -0.9 1.1 1.7 0.2 0.8 1.6 0.9 0 0.3 5.4
2014 -0.3 0.3 0 0.6 0.2 0 -0.7 0.4 -0.5 -0.2 -2.5 0.1 -2.6
2015 -1.5 0.1 -0.1 1 -0.5 0.9 0.6 -0.9 0.2 0.8 0 -2.4 -1.9
2016 2 0.6 -0.2 0.4 0.5 0.8 -0.9 0 0.1 0.1 0.6 -0.4 3.5
2017 0.2 0.2 0.1 0.2 -0.4 0.1 0.4 -0.3 0.2 0 -0.9 -0.3 -0.6
2018 -1 -0.9 0.9 -0.3 -0.6 0.8 0.9 -0.4 0.9 0.2 2.4 0.5 3.2
2019 0.2 0.3 0.2 0.1 -0.2 -0.5 -0.6 0.3 1.2 1.1 0.2 -0.3 1.9
2020 0.4 -7.1 -7.4 -3.5 4.2 3.6 0.7 0.9 0.7 -0.6 1.1 1.7 -5.8
2021 0.2 -0.5 0.4 NA NA NA NA NA NA NA NA NA 0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-04-28  20   SPY    113. -0.0129   0.0013   0.002  -4.90e-3    0.229  -0.0771   -0.169 <NA>     NA    NA       NA
2 2004-04-29  20   SPY    112. -0.0088  -0.0212  -0.0101 -1.45e-2    0.217  -0.0802   -0.181 <NA>     NA    NA       NA
3 2004-04-30  20   SPY    111. -0.0078  -0.0297  -0.0189 -2.22e-2    0.207  -0.0991   -0.192 <NA>     NA    NA       NA
4 2004-05-03  20.0 SPY    112.  0.0107  -0.018   -0.0143 -1.60e-2    0.203  -0.0935   -0.172 <NA>     NA    NA       NA
5 2004-05-04  20   SPY    112. -0.0008  -0.0196  -0.0225 -1.51e-2    0.205  -0.109    -0.166 <NA>     NA    NA       NA
6 2004-05-05  20   SPY    113.  0.0064  -0.0004  -0.0216 -6.00e-4    0.201  -0.0971   -0.154 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart